Six explicit rules help organize the market environment. They are heuristic filters, not calibrated probabilities or a guarantee that going long is safe.
VIX and VIX3M describe option-implied volatility. The model combines prior-history z-scores, two-session smoothing and the VIX/VIX3M ratio. These measure conditions, not market direction.
Green needs VIX below 20 and the ratio below 1, with no composite stress or ratio warning. VIX ≥30, ratio ≥1.05 or smoothed composite >1.2 is red.
SPY’s moving averages provide trend context; RSP’s realized volatility describes recent equal-weight equity variability.
Green requires SPY above its 50- and 200-day averages and RSP volatility below 20% annualized. Below the 200-day average or volatility ≥30% is red.
Finviz counts S&P 500 securities classified as USA above their 50- and 200-day averages. Percentages use the same filtered denominator. The requested 100-day custom filter failed a control check and is unavailable.
The verdict uses SMA50 and SMA200: green when both are at least 60%; red below 40% for SMA200 or 30% for SMA50; otherwise mixed. SMA100 is optional and does not block the verdict. Missing or expired required counts remain unknown. These thresholds are heuristic, not validated for this universe.
The 20-session change in HYG/IEF compares high-yield debt with Treasury exposure. Different interest-rate sensitivity can move the ratio.
Nonnegative is green; below −3% is red. This is not an option-adjusted credit spread.
The absolute 20-session change in the US 10-year yield captures large moves in either direction. Sharp falls can accompany stress too.
Below 25 basis points is green; at least 75 basis points is red. One percentage point equals 100 basis points.
Large oil moves and copper weakness provide additional macro context. Gold and silver are shown for context, without automatic votes.
Green needs absolute oil change below 10% and copper above −5%. Oil moves ≥20% or copper ≤−15% are red.
All six green: Supportive. Any unknown: Insufficient data. Otherwise any red: Defensive. Remaining amber conditions: Mixed. Unknown takes precedence over red in the headline; inspect individual pillars for stress that is already visible.
This is not a full portfolio risk model, a NOK exchange-rate assessment, or a forecast of maximum loss. Thresholds have not been validated on a held-out sample. The current implementation has known freshness and alignment limitations described in the methodology.
Read the research limitations →